A Convex Optimization Approach to ARMA Modeling

Tryphon T. Georgiou, Anders Lindquist
2008 IEEE Transactions on Automatic Control  
We formulate a convex optimization problem for approximating any given spectral density with a rational one having a prescribed number of poles and zeros (n poles and m zeros inside the unit disc and their conjugates). The approximation utilizes the Kullback-Leibler divergence as a distance measure. The stationarity condition for optimality requires that the approximant matches n + 1 covariance moments of the given power spectrum and m cepstral moments of the corresponding logarithm, although
more » ... e latter with possible slack. The solution coincides with one derived by Byrnes, Enqvist and Lindquist who addressed directly the question of covariance and cepstral matching. Thus, the present paper provides an approximation theoretic justification of such a problem. Since the approximation requires only moments of spectral densities and of their logarithms, it can also be used for system identification.
doi:10.1109/tac.2008.923684 fatcat:yzdtskq7bvh5hooitzt3rljpte